The Eighth Public Investors Conference proceedings

Since 2008, the Bank for International Settlements and the World Bank have organised – jointly with cosponsoring central banks – the Public Investors Conference to discuss policy issues, quantitative methods and current challenges for central banks, sovereign wealth funds and public pension plans. This volume covers many of the advances in the practice of public investment management presented at the Conference.

This volume is the second of a series that is edited by staff members of the cosponsoring institutions and is published by the BIS. It is organised into three parts, each covering one major topic discussed over the course of the Eighth Public Investors Conference.

Front Matter

Preface
by E. Bouyé, E. Lessard, M. McMorrow, T. Perez, O. Zulaica and others i

Part 1. Public investment management

Central bank governance and reserve portfolio investment policies: an empirical analysis
by Carmen Herrero Montes, Daniela Klingebiel, Marco Ruiz and James Seward, The World Bank 1
Effective financial risk management in unconventional times
by Thomas Brophy, David Doran, and Steve Kilkenny, Central Bank of Ireland 31
Fact, fiction, and green bond investing – a central bank's perspective
by Juliusz Jabłecki, Narodowy Bank Polski 45

Part 2. Climate risk and enviromentally-aware investment strategies

Green sentiment, stock returns, and corporate behavior
by Marie Brière, Amundi
Stefano Ramelli, University of St. Gallen 69
The term structure of carbon premia
by Fan Dora Xia and Omar Zulaica, Bank for International Settlements (BIS) 103
Climate scenarios for fixed income investors
Eric Bouyé, Carmen Herrero Montes and Daniel Vela Barón, The World Bank 151
Net zero sovereign bond portfolios
Katharina Schwaiger, Riyadh Ali and Andrew Ang, BlackRock 167

Part 3. Quantitative portfolio management

Systematic investment strategies for sovereign fixed income portfolios
by Mike McMorrow, Bank for International Settlements (BIS) 187
The backtesting of value-at-risk and expected shortfall: evidence from the Bank of Italy's foreign reserves portfolio
Marco Fruzzetti, Davide Nasti and Marco Orlandi, Banca d'Italia 211
Machine learning applied to fixed income portfolio management: a Lasso logit approach
by Mercedes de Luis, Emilio Rodríguez and Diego Torres, Banco de España 227
Middle out: only extreme deciles matter
by Ashwin Alankar, Philip Maymin and Myron Scholes, Janus Henderson Investors 251

Back to previous conference proceedings.